VOX Options History — September 2024

In September 2024, VOX traded between $134.12 and $145.19. ATM implied volatility averaged 18.3%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.1% (HV 20d: 14.2%). Max pain ranged from $110.00 to $131.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2024-09-13: Highest Volume — 38 contracts
2024-09-04: Largest IV spike — 13.8% change
2024-09-06: Highest IV Rank — 47.7%
2024-09-04: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$139.88	$134.12	$145.19	$136.11	$145.19
Max Pain	$112.10	$110.00	$131.00	$131.00	$110.00
ATM IV	18.3%	14.7%	23.4%	19.4%	16.4%
Expected Move	5.1%	4.2%	6.3%	5.6%	4.7%
HV 20d	14.2%	12.6%	15.4%	15.4%	14.3%
HV 60d	17.1%	16.4%	17.5%	16.4%	16.8%
IV Rank	28.7%	15.4%	47.7%	33.1%	22.0%
IV Percentile	57.1%	22.6%	90.9%	73.0%	46.8%
Term Structure	1.5%	-3.4%	5.3%	-1.2%	2.2%
VWIV	15.4%	9.8%	23.5%	14.5%	23.5%
Skew 25d	2.7%	1.1%	5.5%	5.5%	2.0%
Skew 10d	3.7%	1.5%	6.2%	6.2%	3.2%
Call IV 25d	14.8%	11.7%	20.2%	18.2%	15.0%
Put IV 25d	17.5%	15.4%	23.6%	23.6%	17.0%
Bid-Ask Spread %	120.15	112.15	131.68	131.68	122.28
Gamma HHI	0.10	0.08	0.16	0.10	0.12
Net GEX	48.2K	31.9K	76.6K	42.5K	33.4K
Net DEX	-1.0M	-1.4M	-696.3K	-700.8K	-1.2M
Net VEX	-4.4K	-5.1K	-3.0K	-3.0K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.59	0.59	0.00
Total Volume	6.25	0	38	27	2
Total OI	208.8	170	220	170	209

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2024-09-03	$136.11	$131.00	19.4%	5.6%	15.4%	33.1%	0.0%	5.5%	-1.2%	42.5K	-700.8K	-3.0K	0.59	131.68	N/A	N/A	17	10	138	32
2024-09-04	$136.61	$131.00	22.1%	6.3%	13.5%	43.1%	0.0%	2.9%	-3.4%	45.1K	-838.9K	-4.0K	0.10	130.61	N/A	N/A	10	1	154	42
2024-09-05	$136.63	$110.00	21.0%	5.7%	13.4%	39.1%	0.0%	2.6%	-0.3%	49.1K	-876.2K	-4.3K	0.00	114.44	N/A	N/A	0	0	164	41
2024-09-06	$134.16	$110.00	23.4%	6.2%	14.2%	47.7%	14.5%	4.0%	-0.7%	41.6K	-726.1K	-4.1K	0.00	112.15	N/A	N/A	4	0	164	41
2024-09-09	$134.12	$110.00	22.9%	6.0%	14.0%	46.0%	0.0%	3.2%	-1.0%	39.3K	-696.3K	-3.8K	0.00	114.57	N/A	N/A	0	0	164	41
2024-09-10	$134.50	$110.00	21.6%	5.6%	13.8%	41.2%	0.0%	3.6%	1.6%	40.8K	-727.4K	-3.9K	0.00	114.50	N/A	N/A	0	0	164	41
2024-09-11	$134.90	$110.00	19.4%	5.6%	12.6%	33.1%	0.0%	2.8%	1.9%	43.3K	-775.0K	-3.9K	0.00	115.31	N/A	N/A	1	0	164	41
2024-09-12	$137.45	$110.00	18.3%	5.2%	14.2%	28.8%	0.0%	1.8%	1.0%	54.0K	-942.2K	-4.2K	0.00	116.69	N/A	N/A	0	0	165	41
2024-09-13	$139.06	$110.00	17.5%	5.0%	14.0%	25.9%	9.8%	3.7%	1.8%	61.6K	-1.0M	-4.2K	0.00	118.27	N/A	N/A	38	0	165	41
2024-09-16	$140.12	$110.00	18.2%	5.2%	14.2%	28.4%	0.0%	5.0%	0.5%	65.2K	-1.1M	-4.6K	0.00	118.61	N/A	N/A	2	0	177	41
2024-09-17	$140.35	$110.00	18.3%	5.3%	13.8%	29.1%	0.0%	3.6%	0.7%	70.5K	-1.1M	-4.7K	0.00	118.25	N/A	N/A	0	0	179	41
2024-09-18	$140.85	$110.00	18.2%	5.2%	13.8%	28.7%	0.0%	1.8%	1.8%	64.2K	-1.2M	-4.8K	0.00	124.65	N/A	N/A	0	0	179	41
2024-09-19	$143.27	$110.00	16.2%	4.7%	15.0%	21.2%	14.6%	1.4%	2.9%	76.6K	-1.4M	-4.7K	0.00	117.38	N/A	N/A	14	0	179	41
2024-09-20	$143.18	$110.00	15.7%	4.5%	14.7%	19.2%	0.0%	1.9%	2.6%	64.6K	-1.3M	-4.7K	0.00	120.98	N/A	N/A	10	0	169	46
2024-09-23	$143.26	$110.00	15.9%	4.6%	14.6%	20.0%	0.0%	1.9%	3.1%	38.7K	-1.2M	-4.6K	0.00	121.30	N/A	N/A	0	10	162	46
2024-09-24	$144.27	$110.00	15.2%	4.4%	14.7%	17.4%	0.0%	1.9%	3.0%	34.8K	-1.2M	-5.0K	0.00	121.67	N/A	N/A	0	0	162	56
2024-09-25	$144.15	$110.00	14.8%	4.2%	14.7%	16.0%	14.4%	1.1%	3.6%	34.4K	-1.2M	-5.1K	0.00	120.50	N/A	N/A	4	0	162	56
2024-09-26	$144.50	$110.00	15.7%	4.5%	14.3%	19.4%	0.0%	1.9%	4.9%	31.9K	-1.2M	-5.1K	0.00	128.36	N/A	N/A	0	0	162	56
2024-09-27	$144.92	$110.00	14.7%	4.2%	14.3%	15.4%	23.5%	2.0%	5.3%	32.8K	-1.2M	-5.0K	0.00	120.90	N/A	N/A	2	0	153	56
2024-09-30	$145.19	$110.00	16.4%	4.7%	14.3%	22.0%	0.0%	2.0%	2.2%	33.4K	-1.2M	-5.1K	0.00	122.28	N/A	N/A	0	2	153	56